Electromagnetic radiation is the emission of photons from excited subatomic particles. The light from a heated wire is an example of the stochastic emission of photons from the excited electrons in the wire.
The concept of EM radiation as a stream of quanta was a by-product of Planck's equation for blackbody radiation. He did not initially believe that the energy packets introduced were real particles. Later, Einstein interpreted the photoelectric effect with the existence of such quanta, later called photons.
If you move far enough away from such a heat source or dim the radiation with filters, you end up measuring single incoming photons. They could be made visible by photoemulsion plates or electronic devices (CCD chip).
It has long been known that light does not need a medium. Otherwise, light from celestial bodies would not reach us. Light travels through the vacuum, every single photon does so.
In short, photons are indivisible particles from emission to absorption and spread out in empty space between emission and absorption.
The fact that photons consist of an electric and a magnetic field component can be observed in radio waves. Synchronously accelerated electrons in the antenna emit photons with an electric field component all aligned parallel to the antenna and with a magnetic field component aligned perpendicular to the antenna. Hertz was the first to measure these components.
How to define the electric and magnetic fields of an EM Wave in a vacuum?
In a vacuum, the electric and magnetic field components of each photon in EM radiation are perpendicular to the direction of motion and perpendicular to each other. The Cartesian coordinate system is useful for illustration. If X is the direction of propagation of the photon, then Y and Z are the directions of the field components.
For photons from thermal sources, the direction of the Y-Z pair is random with respect to X. For radio waves, free-electron lasers or cyclotron radiation, for example, the electric field component is parallel to the acceleration direction of the electrons involved.